Measuring the impact of monetary policy on asset prices in Turkey

Murat Duran (), Gülserim Özcan, Pınar Özbay Özlü and Deren Ünalmış

Economics Letters, 2012, vol. 114, issue 1, 29-31

Abstract: Little is known about the impact of monetary policy on asset prices in emerging markets. This study applies the heteroscedasticity-based GMM for financial markets in Turkey. The results suggest that event study estimates are biased for some asset returns.

Keywords: Monetary policy; Asset prices; Emerging market; Identification through heteroscedasticity (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:1:p:29-31

DOI: 10.1016/j.econlet.2011.08.024

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